Defaults in a credit portfolio of many obligors or in an economy populated with firms tend to occur in waves, reflecting their sharing of common risk factors and/or having systemic linkages via credit chains. One popular approach to characterizing defaults in is the Poisson intensity model...

The forward-intensity model of Duan, {et al} (2012) is a parsimonious and practical way for predicting corporate defaults over multiple horizons. However, it has a noticeable shortcoming because default correlations through intensities are conspicuously absent when the prediction horizon is more...

Market liquidity is informative of future corporate defaults but in a nuanced way. A firm's probability of default increases with market illiquidity only when the firm's funding liquidity is tight and/or solvency position is weak. Such relationship persists after controlling for a variety of...